Both cards should connect.
Do they receive the same APN when set to AutoAPN?
Is the load balancing enabled?
Do the cards connect separately, with the custom APN or is it an issue with a specific modem?
Have you tried switching the slots?
I would like you to attach a troubleshoot file to your question. Please, replicate the issue, then access router's WebUI, go to System -> Administration > Troubleshoot section and download troubleshoot file from there.